Prof. Emeritus Mark Rubinstein, financial engineering pioneer, passes away      

Mark Rubinstein, a finance professor emeritus whose work had a profound impact on Wall Street by forever changing how financial assets are created and priced, died May 9 in Tiburon, California. He was 74.

Rubinstein, who retired in 2012 after nearly 40 years on the University of California, Berkeley’s Haas School of Business faculty, was a pioneer in applying mathematical tools to financial markets. He was best known for his contributions in options pricing, as well as the development of the first Exchange Traded Fund (ETF).

Prof. Mark Rubinstein in his home library
Prof. Mark Rubinstein surrounded by his beloved Shakespeare in his home library in 2002 (Photo by Jim Block)

Rubinstein was intellectually fearless and known by his students as a sincere mentor who had extraordinary passion. He was also a quintessential Renaissance man whose curiosity and love of learning led him to acquire an impressive knowledge of Shakespeare, Ancient Greek, and Roman history.

“Mark was unusually honest and open-minded,” said Prof. Terry Odean, a colleague in the Haas Finance Group. “He was one of the few people I’ve known who would actually change his opinion when confronted with new facts or a better argument.”

Simplified options pricing

Rubinstein grew up in Seattle, the son of Sam and Gladys Rubinstein. After earning a bachelor’s degree at Harvard, an MBA at Stanford, and a PhD at UCLA, Rubinstein joined the Haas faculty in 1972.

His research efforts soon focused on options markets, which had just begun trading in Chicago. In 1979, working with John Cox and Stephen Ross of MIT, he developed the Cox-Ross-Rubinstein (CRR) Model, a “binomial” model for valuing a wide range of complex options. The model contributed to the growth of derivatives around the world and remains one of the most important valuation tools on Wall Street. A subsequent book, Options Markets (with John Cox), made option pricing theory accessible to a broad audience.

“His most famous contribution was in simplifying the option pricing model not only to a level that everyone could understand, but also to a point where everyone could use it effectively in the real world,” said Prof. Emeritus Hayne Leland, a finance colleague who worked closely with Rubinstein.

Leland O’Brien Rubinstein’s (LOR) influence

In 1981, Rubinstein joined with Leland and Haas Adjunct Prof. John O’Brien to form Leland O’Brien Rubinstein (LOR). The firm grew rapidly, and in 1987 the three founders were named among Fortune’s “Businessmen of the Year.” LOR developed a risk-hedging algorithm called “portfolio insurance.” To stem losses, the algorithm required selling off assets when markets declined, and portfolio insurance was accused of being a major accelerant of the October 1987 crash— when the stock market fell more than 20% in a day. These events and the role of LOR are recounted in Diana Henriques’ A First-Class Catastrophe: The Road to Black Monday, the Worst Day in Wall Street History.

The market eventually recovered, and the crash may have warded off a real recession by bringing stock prices back down to reality, according a later analysis. Traders today still use strategies that are roughly equivalent to portfolio insurance.

First Exchange Traded Fund

In an effort to protect investors without dynamic selling, LOR then pioneered the SuperTrust, an S&P 500-based fund that traded as a single security—which in 1992 became the first Exchange Traded Fund (ETF) in the United States. Rubinstein and Leland provided the economic arguments that convinced the SEC to give the first exemption to rules in the 1940 Investment Act that had prevented ETFs. These exemptions later became standard, and helped form the regulatory framework for what has arguably become the most important financial innovation in the last quarter century. In the years since, ETF funds’ assets have grown to more than $5 trillion globally.

Founded the Master of Financial Engineering Program

Rubinstein was elected President of the American Finance Association in 1992, and was named as the IAQF Financial Engineer of the Year in 1995. In 2001, he helped to found the Berkeley Haas Master of Financial Engineering (MFE) Program, which was the first such program in a U.S. business school and is consistently ranked #1.

MFE Program Executive Director Linda Kreitzman called Rubinstein a giant in his field. “He had a huge impact on our students’ lives and also our alumni. He was a brilliant, kind person and he’ll be deeply missed.”

An avid student of history, Rubinstein examined the development of modern theories of investment in his 2006 book,  A History of the Theory of Investments:  My Annotated Bibliography. He continued his academic research and mentoring of doctoral students at Berkeley throughout his career, and after his retirement, continued to nurture his intellectual curiosity with research and writing on classical Greece, Rome, and the early history of Christianity.

Rubinstein is survived and dearly missed by his wife Diane, and his children Judd and Maisie.

A memorial service will be held at 1:30 p.m. on Sunday, June 9 at Fernwood Mortuary, 301 Tennessee Valley Rd., Mill Valley.

Teaming up with quants: MBA students dive into data science

L-R: William Rindfuss, executive director of strategic programs in the Haas Finance Group, Daniel Clayton, MBA 19, Linda Kreitzman, executive director of the MFE Program, and Michael Bausback , MBA 19, at the Berkeley MFE commencement. Photo: Noah Berger / 2019
L-R: William Rindfuss, executive director of strategic programs in the Haas Finance Group; Daniel Clayton, MBA 19; Linda Kreitzman, executive director of the MFE Program; and Michael Bausback , MBA 19, at the Berkeley MFE commencement, where the students were honored for completing MFE courses. Photo: Noah Berger

During his MBA orientation two years ago, Daniel Clayton heard something that grabbed his attention: if space was available, MBA students could enroll in data-intensive Master of Financial Engineering program classes like Financial Innovation, Dynamic Asset Management, Investments & Derivatives, and Behavioral Finance.

Clayton, MBA 19, jumped at the chance. “It was an awesome opportunity,” said Clayton, who is a CFA charterholder, and had worked in finance for six years before heading to Berkeley for his MBA. “I set the goal early that I should try to graduate with three or more of these courses to add more quantitative skills to my strong finance base. It’s the ‘quants’ who will be key to the future of the investment field by driving markets, developing new and innovative investment strategies, and disrupting decades-old industries.”

The top-ranked MFE program trains an elite group of students in financial engineering and data science, many who go on to work at top banks, tech companies, and startups. Since 2001, when the MFE program launched, a select number of its courses have opened up to MBA students to provide an opportunity to deepen their knowledge of quantitative finance and data analytics, preparing them for a job market that increasingly demands these skills, said Linda Kreitzman, executive director of the MFE program. On average, five MBA students take one or more courses each year.

“I saw this coming years ago and, in the future, the MBAs will need to be more data science savvy,” Kreitzman said. “It’s a critical need in the very near future; why we don’t have more MBA students taking our courses is quite surprising to me.”

Students, family, and friends attend the 2019 Berkeley MFE Graduation
Students, family, and friends attend the 2019 Berkeley MFE Graduation. Photo: Noah Berger

For taking at least three MFE courses, Clayton was recognized along with Michael Bausback, also MBA 19, at the March 2019 MFE commencement.

The start of “a more studied experiment”

While the typical MBA student does not take the most quantitative and programming-intensive MFE classes such as Stochastic Calculus and Asset Backed Security Markets, they are able to enroll in the more qualitative courses.

In 2013, MBA student Benjamin Cooper fully capitalized on that opportunity. As a CJ White Finance Fellow, Cooper was matched with an alumnus as his mentor in his area of focus within finance, global asset allocation. “This was the start of a more studied experiment for MBAs taking MFE courses,” said William Rindfuss, executive director of strategic programs in the Haas Finance Group. “The mentor’s first bit of advice was to take as many MFE courses as possible.  Ben wound up taking five MFE courses over his two years, and really kicked off this idea of MBAs leveraging the MFE program—literally under the same roof—to expand their training and set of opportunities in the more quantitative ends of finance.”

Cooper, MBA 15, now works as a multi-asset strategist at Wellington Management in London.

Exploring machine learning and quantitative finance

Bausback and Clayton shared similar goals in taking MFE courses: to challenge themselves in the quantitative side of finance.

Bausback, who worked in economic consulting before he came to Haas at a job that required financial modeling and knowledge of trading derivatives, took courses that would prepare him with a deeper, most up-to-date set of finance skills. “I now have the confidence to explore and interact with the fields of machine learning and quantitative finance, both of which seemed inaccessible prior to the program,” said Bausback, who will work at Morgan Stanley as an associate in its Tech Investment Banking office after graduating. “Coming out of the program I realize I had never fully appreciated how financial markets actually work, how prices are driven on a day-to-day basis—and how human biases affect that more than a math model will ever tell you.”

Clayton said he added the most value as a member of the MFE student teams by developing qualitative analysis based on data the MFE students crunched. “Once they coded everything I could interpret the results, articulate the findings clearly, and suggest additional analysis,” he said. “The MBA and MFE skill sets actually complement one another nicely.”

One of the biggest takeaways of taking MFE courses was learning to work with engineers, he said. “I still can’t code in Python or do Stochastic calculus but I do now know how to communicate with financial engineers and understand the kind of analysis they are capable of producing. In the future, I will have a better appreciation for what goes into this kind of work and what is possible, which will make me much more valuable in the finance world.”

Berkeley Master of Financial Engineering program graduates 79 students

<em>Students enjoy a moment at the 2019 MFE commencement</em><br />
Students enjoy a moment at the 2019 MFE commencement
Photo: Noah Berger

Richard Lindsey, managing partner at Windham Capital, offered some clear advice for the 79 Berkeley Master of Financial Engineering graduates at Friday’s commencement: invest in your professional network, hold fast to your ethical standards, and “don’t sweat the money.”

“We all like money, or at least the lifestyle that it can provide, but you should do what you love, rather than focus on the money,” said Lindsey, who holds a PhD in finance from UC Berkeley, and noted that he left Bear Stearns in 2007 with $30 million in stock that he liquidated for $400,000 after Bear Stearns collapsed in 2008. “Don’t confuse your compensation with your self-worth.”

Linda Kreitzman, who has been the MFE program’s executive director since its inception 19 years ago, praised the class for raising the standards of the program, which is consistently ranked #1 in the country. “I am very proud of you and your accomplishments,” she said, before welcoming Gifford Fong, BS 67, MBA 69, JD 71, who provided the founding gift for the MFE program, and finance professors David Sraer, Nancy Wallace, Eric Reiner, and Terry Odean, who participated in the ceremony. She also welcomed the incoming cohort of 93 new MFE students, who arrived last week.

Moving beyond yourself

In opening remarks, former Haas Dean Richard Lyons, who teaches the Equity & Currency Markets elective course in the MFE program, said the program has provided students with the skills to move beyond being the outstanding individual contributors they have been trained to be—to team leaders who go beyond themselves.

“That psychological transition from individual contributor to understanding that your most important work is done by working through and other people is profoundly important and that’s part of what this program is about as well,” he said.

The 2019 MFE students hail from more than a dozen countries. Photo by Noah Berger.
The 2019 MFE class hails from more than a dozen countries. Photo by Noah Berger

The MFE class student speaker, Jack St. Clair, noted how quickly the past year has gone by, saying the class grew close through pizza parties, horse track races, bowling events, football game, trips to Tahoe and Napa, class dinners, and karaoke nights. He urged classmates to remember “the times we’ve spent together, just as we did the formulas we’ve memorized throughout the year.”

“Before we spread out over the globe, let’s not forget this year we’ve had,” he said. “The Berkeley MFE is ranked #1 not just because of Linda and our great faculty, but because we as students give back to each other, past and future MFEs. I ask each of us to do the same when we graduate.”

Before awards were given out, Kreitzman delivered a lighthearted slide show, a showcase of the talents of many students, including a pilot, a professional high-stakes poker player, several outstanding skiers, a mountain biking champion from France, a sailor, a ukulele player, and a songwriter.

This year’s valedictorian was Vaibhav Pednekar, while the salutatorian was Yiming Yu. A team of four students received the $5,000 Morgan Stanley Applied Finance Project Award during the ceremony: Matias Lopez, Sumair Ajanee, Willam Shi, and Laurent Morrissette-Boileau for “Machine Learning Monte Carlo for American: Style Derivatives Valuations.”

MFE grads celebrate after the ceremony.
Grads celebrate after the ceremony. Photo: Noah Berger

Other awards:

Earl Cheit Award for Excellence in Teaching: Prof. Eric Reiner

Outstanding GSI Award: Mykyta Bilyi

Alumni award for outstanding teaching and service to the MFE: Yang Guo, Yihui Li, Tianyi Xia

MFE Certificate for MBA Students: Daniel Clayton, Michael Bausback

Defining Principles:

Beyond Yourself: Julien Gille and Ruochen Zeng

Confidence without Attitude: Teddy Legros and Jack St. Clair

Question the Status Quo: Matias Lopez and Joanna Wang

Students Always: Shailen Aggarwal and Nathan Johnson

Embodiment of All Four Defining principles: Hosang Yoon


MFE grads will head to top financial jobs in Hong Kong, New York, Chicago, London, and San Francisco this year
MFE grads will head to top financial jobs in Hong Kong, New York, Chicago, London, and San Francisco this year. Photo: Noah Berger

Students in the graduating class are moving on to jobs at Morgan Stanley, Citadel, Goldman Sachs, Citi, BlackRock, Two Sigma, Moody’s, Deutsche Bank, Kohlberg Kravis Roberts, Mellon Capital, Putnam Investments, Citi, Barclay’s, DV Energy, DRW, Uber, AQR, Wells Fargo, WorldQuant, etc., in locations including Hong Kong, New York, Chicago, London, and San Francisco.

New class arrives

Meanwhile, the MFE class of 2020 arrived last week at Haas for orientation and began classes today. This year’s larger class is split into a blue cohort, which is a data science in finance specialization, and a gold cohort, which is a finance specialization for financial engineers.

Students in the incoming class come from 11 countries, including the U.S., Brazil, Canada, Chile, China, France, India, Peru, Russia, South Africa, and Thailand. About half of them have graduate degrees and 12 percent earned PhDs.

Watch the video of the ceremony here.

Berkeley Master of Financial Engineering program ranked #1

The Berkeley Master of Financial Engineering Program was again ranked #1 by The Financial Engineer, which published its annual financial engineering rankings this week. The Berkeley MFE has placed #1 in this ranking since 2016.

TFE focuses 55% of its ranking on the quality of the class (students’ GREs, GPAs, and the acceptance rate) and 40% on post-degree outcomes. Another 5% is based on the number of distinct courses available and research expenditures.

Read the full report here.

Berkeley Master of Financial Engineering Program ranks #2

The Berkeley Master of Financial Engineering ProgramImage- MFE program ranks #2 in the world, according to a new ranking of the top 15 quant finance masters programs published by on January 16.’s ranking is based on eight metrics, ranging from acceptance rate, job offers, and salaries to faculty research and faculty-student ratio. Particular weight was given to average graduate salaries — $159,402 for Haas MFE graduates — and a strong post-commencement employment rate — 99% of Haas MFEs.

View the full report.

In other reports, the Berkeley MFE is ranked #2 by QuantNet and #1 by TFE Times.

MFE team advances to national data competition

Pierre Foret, Li Cao ,Teddy Legros and Hosang Yoon, all MFE 19
Pierre Foret, Li Cao, Teddy Legros and Hosang Yoon, all MFE 19

A team of Master of Financial Engineering (MFE) students took first place in “The Data Open” this month, besting 25 teams who competed across UC Berkeley in the regional data science competition.

The winning team—Li Cao, Pierre Foret, Teddy Legros, and Hosang Yoon, all MFE 19—won $20,000 in the competition semi-final, sponsored by Citadel LLC, a global asset management firm, and operated by data scientist recruiting firm Correlation One.

The Berkeley Haas semi-finalists will travel to the New York Stock Exchange later this fall to compete against top universities for a $100,000 grand prize.

The Sept. 8 competition asked teams to solve a complex problem by analyzing complex data sets.

More than 400 students across UC Berkeley applied to participate, and 100 were accepted. Event organizers grouped the contestants into teams, many of whom—including the winners—had not worked together before.

Choosing a question

<em>Teddy Legros, Pierre Foret, Li Cao, and Hosang Yoon, all MFE 19</em>
Teddy Legros, Pierre Foret, Li Cao, and Hosang Yoon, all MFE 19

The night before the event, the teams were given a description of data sets—data that applied to everything from 311 calls in New York state to restaurant inspection data. The teams were challenged choosing a question and finding the answer in the data.

“Most data science competitions focus on achieving the best possible score for a predefined metric,” Foret said. “In contrast, we had to come up with our own question, which is a lot closer to the type of problems a data scientist has to tackle in the industry.”

The team outlined two goals: identifying the top factors that influence public health in New York state and providing local government officials with policy recommendations based on their analysis.

Working through the night, they prepared code that allowed them to test their hypotheses quickly, so they were able to spend most of the competition time running experiments, analyzing the data, and choosing the most relevant problem to solve.

Legros said their data analysis tracked factors that affect residents’ health, including both traditional socioeconomic ones and several lifestyle considerations—such as smoking habits, eating habits and living conditions—that evolve over time. “Next, we identified clusters of regions where some of these determining lifestyle factors are more dominant. This can help policymakers develop regional proposals to improve the health of residents.”

“It was one of the most intense 24 hours I have spent,” Yoon said. “While the competition itself was short, I really learned a lot from our preparation.”

The judges, announcing the winner, said they impressed by the originality of the team’s question and the strategy to focus on comprehensive view of the factors involved.

Master of Financial Engineering Program graduates 67 students

MFE 2018 commencement. All photos by Jim Block
MFE 2018 commencement. All photos by Jim Block.

Surrounded by friends and family, 67 students in the tight-knit Master of Financial Engineering (MFE) class of 2018 graduated last Friday.

Linda Kreitzman, executive director of the MFE program, said the graduating students, who hail from 15 countries, became close over the past year.

“I would like to say it’s been a privilege to guide you throughout this year,” she told the students, who gathered in Chou Hall’s Spieker Forum. “I am very proud of your accomplishments. MFE 18 will be a tough act to follow.”

Linda Kreitzman: The MFE 18 will be a tough act to follow.
Linda Kreitzman, MFE executive director: The MFE 18 will be a tough act to follow.

Kreitzman welcomed graduation speaker Prof. Andrew Lo, who runs the financial engineering laboratory at MIT’s Sloan School of Management, noting that one of the graduating students, Tony Tong, applied for an MFE because he was so inspired by Lo’s work. She also welcomed Gifford Fong, BS 67, MBA 69, JD 71, who provided the seed money to start the MFE program. Fong is a member of the UC Berkeley Board of Trustees and president of Gifford Fong Associates.

Kreitzman asked the audience to rise for Dean Lyons, who is stepping down as dean in June. “You have given us your trust and the resources to take this program to be #1 in the country, and you have articulated the key Defining Leadership Principles to which the MFE program and I hold our students,” she said to Lyons.

“A certain kind of leadership”

Dean Lyons told the students that they originally were accepted into the MFE program by distinguishing themselves as individuals in college and at work, but that the program has changed them.

“Over this past year you may have seen a glimpse of your future, that you will do your life’s best and most important work not as an individual contributor but by working with and through others…by taking 2 or 20 or maybe 20,000 people who wanted to accomplish something special and don’t quite know how or where to start,” he said. “You can help them get there. To do that well requires a certain kind of leadership.”

Berkeley Haas has taken a particular stand on the kinds of leaders the school aims to develop, through the curriculum and the learning environment, and the Defining Leadership Principles, Lyons added. “As students here, you know these principles by heart—you’d better!—and after you receive your degrees today, you will carry them forward into your careers.”

Students celebrate after the ceremony.
Students celebrate after the ceremony.

​Andrew Lo, the Charles E. and Susan T. Harris Professor at the Sloan School, told the students they had some of the biggest advantages of any generation in history, with “enormous amounts of information and tools at your fingertips,” but also some of the greatest challenges—climate change, flu pandemics, cybersecurity threats, and systemic risk in the financial system.

He also reflected on the meaning of the ten-year anniversary of of the financial crisis, which is now in the spotlight. “Finance doesn’t have to be a zero sum game,” he said. “You can do well by doing good if you use that power responsibly—and I suspect all of you will.”

And now for the awards…

MIT Sloan Prof. Andrew Lo

Commencement awards went to:

Question the Status Quo: Achuthan Sekar

Confidence Without Attitude: Shravan Sunkada

Students Always: Manas Shah

Beyond Yourself: Yasmine Moulehiawy

All Four Defining Leadership Principles: Jules Landry-Simard

The Heart & Ethics Award: Pedro Zonari

Valedictorian and Salutatorian: Cheryl Xu and Jules Landry-Simard

University of California, Office of the President Award: Amneet Singh

Alum Who “Helped us Day and Night”: Frank Xia, MFE 17

Best Applied Science Project (sponsored by Morgan Stanley): Tao (Tony) Tong, Manas Shah, Manoj Cherukumalli and Yasmine Moulehiawy

In his speech, class president Ivan Nurminsky noted the great support the class received from Kreitzman and the MFE staff. “They were very much our adoptive parents through this journey,” he said. Snow Wang, class vice president, thanked the faculty. “It’s because of professors like them who genuinely have a passion for student learning that Berkeley has had its place in the world for the past 150 years,” he said.

Linda Kreitzman with students
“Like a family:” Linda Kreitzman with students 

During the program, all of the students held internships in areas such as big data, artificial intelligence, and machine learning, working in hedge funds, investment and commercial banking, asset management, and financial services. The majority will go on to work in the U.S. or London at such firms as Citadel, PIMCO, BlackRock, Squarepoint Capital, and Morgan Stanley.

Berkeley Master of Financial Engineering program ranks #1 again

QuantNet logoThe Berkeley Master of Financial Engineering (MFE) ranked #1 again this year in the US, according to a 2018 ranking published by QuantNet, a financial engineering web site.

The Berkeley MFE tied for #1 this year with Baruch College, City University of New York. The program ranked #2 this year for employment outcome three months after graduation.

QuantNet surveys program administrators, hiring managers and quantitative finance professionals from financial institutions around the world. Its ranking is based on the following factors (with weight distribution in parentheses): peer assessment (20%), placement success (55%), student selectivity (25%).

The MFE program is the second Berkeley-Haas degree program to rise to the top in its category, joining our Evening & Weekend MBA program, ranked the #1 part-time program in the US by US News & World Report.

View the full QuantNet report here.